DE 100 56 330 C1 discloses a mechanical nozzle changing device having a nozzle magazine that has three nozzle holders, one for each laser nozzle. The nozzle magazine is provided on a frame that is itself provided with an electromotive or pneumatic positioning drive. Using the positioning drive, the nozzle holders of the nozzle magazine can be moved relative to a laser processing head of a laser processing machine into a position for a screwing and unscrewing action. If a nozzle holder is in the screwing and unscrewing position, it is possible for it to assemble or disassemble a laser nozzle on/from the laser processing head. In both instances, the respective nozzle holder is rotated about a nozzle holder rotation axis by means of a screw drive. Depending on the direction of rotation, the nozzle holder screws in or unscrews a laser nozzle on the laser processing head. Each nozzle holder of the previously known nozzle changing device has its own screw drive.